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Re: st: Fixed Effects
From
donsaane dontsi <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Fixed Effects
Date
Mon, 26 Nov 2012 19:18:06 +0000 (GMT)
Hi,
this small article explains you everything you want to know about test. http://dss.princeton.edu/training/Panel101.pdf
this is the test for heteroskedacticity:
Breusch-Pagan test :
xtreg y x1 x2 ..., fe/re (régression)
predict résidus (récupère les résidus)
gen résidus2 = résidus^2 (génère les résidus carrés)
reg résidus2 x1 x2 ... (régression des résidus sur les variables explicatives)
Sincerely
donsaane
________________________________
De : Amirhossein Moharreri <[email protected]>
À : [email protected]
Envoyé le : Dimanche 25 novembre 2012 23h28
Objet : st: Fixed Effects
Dear All;
I've got a problem in estimation of a fixed effects model. I am
estimating a fixed effects panel data model. I would appreciate it if
someone could help me in:
1-how should I test the results for Heteroskedasticity and Serial Correlation.
2- Additionally, I have seen fixed effects GLS (FEGLS) specification
in the book: "Econometric Analysis of Cross Section and Panel Data,
2001, by Jeffrey M. Wooldridge, page 276". Therefore I was wondering
if I could be informed about a command in Stata which could estimate
my model based on this specification.
Thank you all for your help
Best Regards
Amir
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